Macroeconometric Forecasting

Macroeconometric Forecasting and Analysis

This online course, presented by the IMF’s Institute for Capacity Development, aims at strengthening participants’ macroeconomic forecasting and modeling skills using modern econometric techniques. Lectures include a discussion of underlying theory and demonstrations of how to conduct empirical analyses using EViews. The course focuses on four aspects of empirical model building and forecasting:
• data and model properties, including stationarity/nonstationarity and co-integration;
• dynamic specifications, including the use of error correction models;
• model evaluation, design and simulation; and 
• forecast uncertainty and policy analysis.

Course Objectives: Upon completion of this course, participants should be able to: 

• Forecast time series and multiple equation models using EViews. 

• Assess the statistical characteristics of time series and apply appropriate methods for forecasting. 

• Construct a macroeconometric model using ARMA, VAR, and VECM methods. 

• Evaluate the forecasting performance of a model using a variety of statistical measures


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